Short Bio
Francesco is a researcher at the Macroprudential Analysis & Policy department and PhD candidate at the Vrije Universiteit of Amsterdam and Ca’ Foscari University of Venice. See also his personal webpage.
Research interests
- Policy Evaluation
- Mortgage and Real Estate markets
- Household Finance
- Volatility
Work in Progress
Leverage Constraints, House Prices and Household Debt: Evidence from the Netherlands
Staggered Wages, Unanticipated Shocks and Firms’ Adjustments (Joint with Jante Parlevliet and Mauro Mastrogiacomo)
Working papers
Caloia, Francesco, Mauro Mastrogiacomo and Giacomo Pasini (2019). Being in Good Hands: Deposit Insurance and Peers’ Financial Sophistication. DNB Working Paper 638.
Publication in refereed journals
Caloia, Francesco, Cipollini, Andrea and Muzzioli, Silvia (2019). How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study. Energy Economics 84, art. 104536. Download
Caloia, Francesco, Cipollini, Andrea and Muzzioli, Silvia (2018). Asymmetric semi-volatility spillover effects in EMU stock markets. International Review of Financial Analysis 57(C), 221-230. Download
Latest update: June 2020